Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

Denali is a discretionary global macro hedge fund that attempts to profit from opportunities in financial futures, foreign exchange, and commodity futures. Denali implements a unique investment strategy focused on the dynamic interrelationships of global markets, and how these develop over time. Denali relies upon the extensive experience and insights of the firm’s investment professionals to study the macroeconomic environment, market dynamics, and the marketinter-relationships to develop fundamental “themes” or “biases." Denali also utilizes technical trading techniques to both confirm these themes and to identify profitable entry and exit points for each trade. Denali has a strong emphasis on risk management and employs pragmatic trading, prudent position sizing, dynamic stops, and a multiple-confirmation based trading strategy to ensure that risk is controlled, measured, and appropriate for the market environment and its targeted return.

Performance Statistics

Date Range: 05/00 - 04/19

Program

S&P 500

Altegris 40

Total Return

443.42%

194.00%

142.49%

Annualized Return

9.36%

5.84%

4.77%

Annualized Std. Deviation

9.98%

14.40%

10.09%

Correlation

-0.27

0.50

Sharpe Ratio (rf=2.5%)

0.69

0.23

0.23

Worst Month

-9.52%

-16.79%

-7.77%

Date of Worst Month

10/2003

10/2008

11/2001

Worst Drawdown

-12.31%

-50.95%

-15.74%

Date of Worst Drawdown

8/15 - 3/19

10/07 - 2/09

4/11 - 9/13

Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 05/00 - 04/19

Year or YTD

Program

S&P 500

Altegris 40

2019

-2.62

18.24

5.17

2018

-7.88

-4.38

-4.29

2017

-0.85

21.84

1.24

2016

3.20

11.98

-3.13

2015

2.05

1.41

0.09

2014

4.72

13.69

15.75

2013

-1.85

32.41

-2.45

2012

-5.01

15.98

-4.75

2011

1.75

2.12

-3.23

2010

14.46

15.06

11.33

2009

4.20

26.45

-7.98

2008

19.15

-36.99

15.47

2007

6.73

5.50

7.18

2006

1.03

15.79

6.70

2005

12.11

4.89

4.51

2004

0.62

10.87

2.57

2003

29.19

28.69

15.99

2002

43.62

-22.10

15.22

2001

46.96

-11.88

5.39

2000

23.90

-6.45

13.88

Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 05/00 - 04/19

Note: All performance data is since program inception.

Monthly Returns

Date Range: 05/00 - 04/19

Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 05/00 - 04/19

Note: All performance data is since program inception.

Underwater Curve

Date Range: 05/00 - 04/19

Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:

Denali Asset Management, LLLP

Address:

5020 Anchor Way

City:

Christiansted

State:

Zip:

00820

Country:

St. Croix, USVI

Key People

Name:

Scott Ramsey

Position:

Chief Executive Officer

Biography:

Scott T. Ramsey is Chief Executive Officer of the firm and is the chief trader. Mr. Ramsey launched Denali Asset Management in 1994 to manage money for institutional investors. Prior to launching Denali, Mr. Ramsey worked as a futures trader and broker for fourteen years, operating primarily in the financial futures markets with a variety of Futures Commission Merchants. Mr. Ramsey held a membership at the Chicago Mercantile Exchange and has over twenty five years experience trading in the financial markets. Mr. Ramsey studied mechanical engineering at the University of Missouri.

Name:

Brad Lenhart

Position:

Principal

Biography:

Brad E. Lenhart is Chief Operating Officer of the firm and is responsible for all of Denali’s operations including accounting, compliance, risk, and personnel. Having worked within both large corporations and entrepreneurial firms prior to joining Denali, Mr. Lenhart developed a wide range of expertise in everything from managing technological resources and sales fulfillment to corporate branding, capital budgeting and employment. Mr. Lenhart holds a BA from the University of Kansas and has studied at Imperial College, London.

Name:

Megan Arias

Position:

Director

Biography:

Megan Arias is a Director of the firm, with primary responsibilities in the areas of client relations, marketing, reporting, and administration. Prior to joining Denali as its first employee in early 2002, Ms. Arias was a manager at one of the country's premiere retail wine and beverage companies, Wally's Wines of Los Angeles. Reporting directly to owner Steve Wallace, she originated and ran the company's holiday mail-order operation, managed the production of its catalogs, recruited and hired personnel, and worked closely with movie and TV studios and celebrity clients. Ms. Arias holds a BA degree in English from DePaul University in Chicago.

There are substantial risks and conflicts of interests associated with Managed Futures and commodities accounts, and you should only invest risk capital. The success of an investment is dependent
upon the ability of a commodity trading advisor (CTA) to identify profitable investment opportunities and successfully trade. The identification of attractive trading opportunities is difficult, requires skill,
and involves a significant degree of uncertainty. CTAs have total trading authority, and the use of a single CTA could mean a lack of diversification and higher risk. The high degree of leverage often obtainable
in commodity trading can work against you as well as for you, and can lead to large losses as well as gains. Returns generated from a CTA’s trading, if any, may not adequately compensate you
for the business and financial risks you assume. You can lose all or a substantial amount of your investment. If you use notional funding, you may lose more than your initial cash investment. Managed
Futures and commodities accounts may be subject to substantial charges for management and advisory fees. It may be necessary for accounts that are subject to these charges to make substantial
trading profits in order to avoid depletion or exhaustion of their assets. The disclosure document contains a complete description of each fee to be charged to your account by a CTA. CTAs may trade
highly illiquid markets, or on foreign markets, and may not be able to close or offset positions immediately upon request. You may have market exposure even after the CTA has a request for closure or
liquidation. PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.